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- The Hermits (1907, published in a Danish journal under the name Osceola)
- The Ploughman (1907, published in a Danish journal under the name Osceola)
- The de Cats Family (1909, published in Tilskueren)
- The Revenge of Truth (1926, published in Denmark)
- Seven Gothic Tales (1934 in USA, 1935 in Denmark)
- Out of Africa (1937 in Denmark and England, 1938 in USA)
- Winter's Tales (1942)
- The Angelic Avengers (1946)
- Last Tales (1957)
- Anecdotes of Destiny (1958) (including Babette's Feast)
- Shadows on the Grass (1960 in England and Denmark, 1961 in USA)
- Ehrengard (posthumous 1963, USA)
- Carnival: Entertainments and Posthumous Tales (posthumous 1977, USA)
- Daguerreotypes and Other Essays (posthumous 1979, USA)
- On Modern Marriage and Other Observations (posthumous 1986, USA)
- Letters from Africa, 1914–1931 (posthumous 1981, USA)
- Karen Blixen in Danmark: Breve 1931–1962 (posthumous 1996, Denmark)